Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0874 |
| Annualized Std Dev | 0.2249 |
| Annualized Sharpe (Rf=0%) | 0.3886 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1267 |
| Quartile 1 | -0.0060 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0074 |
| Maximum | 0.0978 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.2119 |
| Kurtosis | 6.8125 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0107 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.6013 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0331 |
| Modified VaR (95%) | -0.0218 |
| Modified ES (95%) | -0.0380 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-04-27 | -0.6013 | 983 | 444 | 539 |
| 2020-02-21 | 2020-03-18 | 2020-06-08 | -0.3391 | 75 | 19 | 56 |
| 2000-01-03 | 2003-03-12 | 2003-12-26 | -0.3272 | 1001 | 800 | 201 |
| 2018-09-21 | 2018-12-24 | 2019-04-08 | -0.2191 | 136 | 65 | 71 |
| 2011-07-08 | 2011-10-03 | 2012-02-03 | -0.1869 | 146 | 61 | 85 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.2 | 0.1 | -0.1 | -0.3 | 0.6 | 0.5 | -1.9 | 0.1 | 0.5 | -0.7 | 1.2 | 1.1 | 1.3 |
| 2000 | 3.6 | -1.2 | -1.1 | 3.1 | 0.7 | 1.1 | 1.4 | 2 | -1.7 | 0.8 | 0.1 | 0.4 | 9.7 |
| 2001 | -0.1 | -1.6 | 0.3 | 1.1 | -0.4 | 0.4 | -0.1 | 1.5 | -0.1 | 1.9 | 0.8 | -1.5 | 2.1 |
| 2002 | -1 | 0.9 | -1.9 | 0.5 | 1.8 | -3 | -3.1 | 0 | 2.8 | 1.5 | -0.9 | 0.6 | -1.9 |
| 2003 | 0.9 | 1.2 | 1.2 | -0.9 | 2.1 | -0.2 | -0.1 | 0.9 | 2.8 | -0.1 | 1 | 0.7 | 9.8 |
| 2004 | -0.1 | 0.6 | 0.4 | -0.8 | -0.1 | -0.6 | 0.1 | 0.3 | 1.2 | 0.4 | 1.6 | -0.4 | 2.8 |
| 2005 | 0.1 | 1.1 | -0.8 | 0.2 | 0.4 | 0.2 | 0 | -1 | 0.7 | 0.1 | 1.1 | -0.6 | 1.6 |
| 2006 | 0.3 | 0.7 | -0.3 | -0.6 | 1.6 | 0.1 | -0.9 | 0.8 | -0.5 | -0.8 | -0.1 | -0.5 | -0.3 |
| 2007 | 0.4 | -0.4 | 0.3 | 0.3 | 0.6 | 0.1 | 0.1 | 1.6 | 1.3 | -2.5 | 1.5 | -0.4 | 2.8 |
| 2008 | 0.9 | -2.5 | 4.5 | 5.8 | -0.8 | -1.3 | -1 | -1.1 | 0 | 4.1 | -8.7 | 1.8 | 0.8 |
| 2009 | -2.5 | -0.7 | 1.8 | -0.5 | 4.8 | 0.6 | 0 | -1.8 | -2.2 | -2.6 | 1.6 | -0.9 | -2.5 |
| 2010 | 1.3 | 1.6 | 0.7 | -2.1 | -1.5 | 0.8 | 0.7 | 3.4 | 0.1 | -0.2 | 2.1 | -0.2 | 6.8 |
| 2011 | 1.2 | -1.9 | 0.6 | -0.1 | -2.3 | 2 | -0.5 | -1.2 | -2.9 | -2.2 | 0.1 | -0.6 | -7.6 |
| 2012 | 0.3 | 0.8 | 0.4 | 0.7 | -3.2 | 2.1 | -0.4 | 0.4 | -0.1 | 1.1 | 0.1 | 2 | 4.4 |
| 2013 | 0.6 | 0.2 | -0.8 | -0.5 | -1.1 | 0.7 | 1.5 | -0.6 | 0.8 | 0.2 | 0.1 | 0.4 | 1.5 |
| 2014 | -1.4 | 0.4 | 1.4 | 0.4 | 0.1 | 1.1 | -0.4 | 0 | -1.3 | 1 | -1.1 | -0.4 | -0.4 |
| 2015 | -1.1 | -0.1 | -0.4 | 1.4 | 0.3 | 1.1 | 0.3 | -2.5 | 0.7 | 0.2 | 1 | -1 | -0.2 |
| 2016 | 0.6 | 2.6 | 0.4 | 0.5 | -0.1 | 1 | 0.2 | 0.2 | 0.8 | -0.7 | 0 | -0.8 | 4.9 |
| 2017 | -0.2 | 1.1 | 0 | 0.1 | 0.9 | 0.5 | 0.2 | 0.5 | 0.4 | 0 | 0 | -0.6 | 3 |
| 2018 | -1.1 | -1.1 | 1.4 | 0.1 | 0.7 | 0.2 | -0.5 | 0.4 | -0.3 | 2 | 0.7 | 1.1 | 3.7 |
| 2019 | -1.5 | 0.8 | 1.1 | -1.2 | -1.3 | 0.9 | -1.4 | -0.6 | -0.8 | 0.7 | -0.6 | 0.1 | -3.8 |
| 2020 | 0.3 | -0.6 | -4.5 | -3.7 | 1 | 1 | 0.5 | 1 | 1.3 | -2.2 | 0.7 | 0.1 | -5.2 |
| 2021 | 2.6 | 2.3 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
